There are a couple of Indian grocers along Rt. 9 in Shrewsbury, as well as the Asian Market in Westboro in the plaza with the Cinema. I believe there is also an Indian grocer (bombay Bazaar?) close to the Asian Market, on the other side of Rt. 9 in Westboro. Those are probably your best bets. Here is a link I found for Indian grocers in Masschusetts, although it lacks the actual towns. If you search by area code you will find several in the 508 region:

In addition to the Indian groceries mentioned by Science_Chick, you can rely on Chinese supermarkets for Star Anise. It is a key ingredient in a variety of "red-cooked" dishes that are stewed or braised in a dark sauce (often a bit sweet).

You can try the Whole Foods in Bellingham if that's closer. Typically the New England board has a higher concentration of people from the Milford/Worcester area who can send you in the right direction.